We like Cajun or spicy flavors.
If you have sour cream, creme fraiche or greek style yogurt, add the spices you like and that can sub for a dipping sauce
Old Bay seasoning is popular in my parts with Monita's suggestion above with a squeeze of fresh lemon juice.
Try these alternatives to cocktail sauce,
Look midway down the page (post J).
Soy, sugar, sake, lemon juice/lime juice, mustard, lots of ginger, garlic, onion. If you use fresh onion, garlic, onion and ginger juice...whisk it all in a blender and strain it in cheese cloth after letting it sit a bit.
Doh! I now see the Cajun request. Do you have a bottle of Cajun Seasoning? (if not look up a recipe and wing it for a small amount). Then mix with mayo and or sour cream and dill pickle cubes. Adjust with lemon juice, salt, and cyan pepper to taste.
I ended up using sour cream, mayo, dash worsteshire, chili garlic sauce, ketchup, garlic, parsley and s&p. turned out brilliant!
Oh and lemon :)